Re: SAS code to replicate Fama and French five factors Model

Mansali · Posted 01-16-2025 04:04 AM

Hi all,

I want to replicate Fama and French five factors Model, Can someone kindly let me know about the codes for the same in BASE SAS.

ChrisNZ · Posted 01-16-2025 04:59 AM

See this page to do it using SQL
https://quant.stackexchange.com/questions/35738/how-to-calculate-fama-french-factors

mkeintz · Posted 01-18-2025 01:02 AM

If you are a WRDS user, I believe you will find sample code for Fama-French on their site.

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The hash OUTPUT method will overwrite a SAS data set, but not append. That can be costly. Consider voting for Add a HASH object method which would append a hash object to an existing SAS data set

Would enabling PROC SORT to simultaneously output multiple datasets be useful? Then vote for
Allow PROC SORT to output multiple datasets

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SAS code to replicate Fama and French five factors Model